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Dynamic programming for deterministic discrete-time systems with uncertain gain.

De Cooman, G. and Troffaes, M. C. M. (2005) 'Dynamic programming for deterministic discrete-time systems with uncertain gain.', International journal of approximate reasoning., 39 (2-3). pp. 257-278.

Abstract

We generalise the optimisation technique of dynamic programming for discrete-time systems with an uncertain gain function. We assume that uncertainty about the gain function is described by an imprecise probability model, which generalises the well-known Bayesian, or precise, models. We compare various optimality criteria that can be associated with such a model, and which coincide in the precise case: maximality, robust optimality and maximinity. We show that (only) for the first two an optimal feedback can be constructed by solving a Bellman-like equation.

Item Type:Article
Keywords:Optimal control, Dynamic programming, Uncertainty, Imprecise probabilities, Lower previsions, Sets of probabilities.
Full text:(AM) Accepted Manuscript
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Status:Peer-reviewed
Publisher Web site:http://dx.doi.org/10.1016/j.ijar.2004.10.004
Date accepted:No date available
Date deposited:14 May 2009
Date of first online publication:June 2005
Date first made open access:No date available

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